Beta vs. characteristics: Comparison of risk model performances
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DOI: 10.1016/j.jempfin.2015.10.002
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More about this item
Keywords
Beta model; Characteristics model; Portfolio risk; Characteristics-matched benchmark; Industry-matched benchmark;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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